What is a Point Density texture?
Point Density Textures are a way of rendering particles or mesh vertices as volumetric halos in Cycles.

A halo is basically a little volumetric ball.  You can accomplish essentially the same effect without point clouds by using dupliverts or a particle system with little spheres as particles.  However point density textures are much more efficient due to requiring a much simpler BVH, since the entire volume is within one object, instead of hundreds of thousands of little overlapping objects.



The above example uses a particle system with 250,000 particles and a turbulence force field.  To render it as a point cloud I created a "domain" object (a scaled cube) around the particle system and gave it a volumetric emission shader using the Density from the Point Density as the emission strength.  See this answer for how to set up a point density texture.